Extracto
Table of Content
List of Tables
Abstract
1 Introduction
2 Applied Macroeconomic Time Series Data Source
2.1 Standard & Poor’s 500 Index
2.2 Stock Prices and Industrial Production Index
2.3 Stock Return and M1 Money Stock
2.4 Stock Return and Total Consumer Credit Outstanding
2.5 Stock Return and Term Structure of Interest Rates
2.6 Stock Return and Consumer Price Index
3 The Expected Outcome of Regressors
4 Analysis of Test Results
4.1 Stationarity and Weak Dependence
4.2 Testing for Time Trend and I(1) process
4.3 Lagged Variables
4.4 Multicollinearity
4.5 Model Re-Specification
4.6 Regression Results
4.6.1 CPI
4.6.2 IPT
4.6.3 Money Stock M
4.6.4 TCC
4.6.5 Term
5 F-Test
6 Serial Correlation
7 Testing for Heteroskedasticity
8 Model Re-Specification
8.1 Using Robust-Standard Errors
8.2 Omitting all Insignificant Variables
9 Conclusion
Bibliography
Appendix
- Citar trabajo
- Dennis Sauert (Autor), 2010, Do Macroeconomic Variables have an Effect on the US Stock Market?, Múnich, GRIN Verlag, https://www.grin.com/document/158131
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